This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency, a panel conitegration analysis consisting of 15 countries over a period of...

This paper is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return behaviour....

This paper analyzes long - term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus,...

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...

Using panel data covering 30 urban areas for 16 years, this is the first comprehensive study which investigates the rental adjustment process in the German office market. In doing so, we use the recently developed panel cointegration technique for non-stationary data in conjunction with an error...

This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency we apply a panel cointegration analysis consisting of 15 countries over a...